Pareto2.4.5 package

The Pareto, Piecewise Pareto and Generalized Pareto Distribution

dGenPareto

Density of the generalized Pareto Distribution

dPareto

Density of the Pareto Distribution

dPiecewisePareto

Density of the Piecewise Pareto Distribution

Excess_Frequency.PGP_Model

Expected Frequency in Excess of a Threshold

Excess_Frequency.PPP_Model

Expected Frequency in Excess of a Threshold

Excess_Frequency

Expected Frequency in Excess of a Threshold

Fit_PML_Curve

Fits a Collective Model to a PML Curve

Fit_References

Fit a Collective Model to a Wishlist of References

GenPareto_Layer_Mean

Layer Mean of the generalized Pareto Distribution

GenPareto_Layer_SM

Second Layer Moment of the Generalized Pareto Distribution

GenPareto_Layer_Var

Layer Variance of the Generalized Pareto Distribution

GenPareto_ML_Estimator_Alpha

Maximum Likelihood Estimation of the Pareto Alphas of a Generalized Pa...

is.PGP_Model

Check if an object is a PGP_Model

is.PPP_Model

Check if an object is a PPP_Model

is.valid.PGP_Model

Check if an object is a valid PGP_Model

is.valid.PPP_Model

Check if an object is a valid PPP_Model

Layer_Mean.PGP_Model

Expected Loss of a Reinsurance Layer

Layer_Mean.PPP_Model

Expected Loss of a Reinsurance Layer

Layer_Mean

Expected Loss of a Reinsurance Layer

Layer_Sd.PGP_Model

Standard Deviation of a Reinsurance Layer

Layer_Sd.PPP_Model

Standard Deviation of a Reinsurance Layer

Layer_Sd

Standard Deviation of a Reinsurance Layer

Layer_Var.PGP_Model

Variance of a Reinsurance Layer

Layer_Var.PPP_Model

Variance of a Reinsurance Layer

Layer_Var

Variance of a Reinsurance Layer

Local_Pareto_Alpha

Local Pareto Alpha

Pareto_CDF

Distribution Function of the Pareto Distribution

Pareto_Extrapolation

Pareto Extrapolation

Pareto_Find_Alpha_btw_FQ_Layer

Pareto Alpha Between a Frequency and a Layer

Pareto_Find_Alpha_btw_FQs

Pareto Alpha Between Two Frequencies

Pareto_Find_Alpha_btw_Layers

Pareto Alpha Between Two Layers

Pareto_Layer_Mean

Layer Mean of the Pareto Distribution

Pareto_Layer_SM

Second Layer Moment of the Pareto Distribution

Pareto_Layer_Var

Layer Variance of the Pareto Distribution

Pareto_ML_Estimator_Alpha

Maximum Likelihood Estimation of the Alpha of a Pareto distribution

Pareto_PDF

Density of the Pareto Distribution

pGenPareto

Distribution Function of the generalized Pareto Distribution

PGP_Model

PGP_Model (Collective Panjer & Generalized Pareto Model) Object

PiecewisePareto_CDF

Distribution Function of the Piecewise Pareto Distribution

PiecewisePareto_Layer_Mean

Layer Mean of the Piecewise Pareto Distribution

PiecewisePareto_Layer_SM

Second Layer Moment of the Piecewise Pareto Distribution

PiecewisePareto_Layer_Var

Layer Variance of the Piecewise Pareto Distribution

PiecewisePareto_Match_Layer_Losses

Match a Tower of Expected Layers Losses

PiecewisePareto_ML_Estimator_Alpha

Maximum Likelihood Estimation of the Alphas of the Piecewise Pareto Di...

PiecewisePareto_PDF

Density of the Piecewise Pareto Distribution

pPareto

Distribution Function of the Pareto Distribution

pPiecewisePareto

Distribution Function of the Piecewise Pareto Distribution

PPP_Model

PPP_Model (Collective Panjer & Piecewise Pareto Model) Object

PPP_Model_Excess_Frequency

Expected Frequency in Excess of a Threshold

PPP_Model_Exp_Layer_Loss

Expected Loss of a Reinsurance Layer

PPP_Model_Layer_Sd

Standard Deviation of a Reinsurance Layer

PPP_Model_Layer_Var

Variance of a Reinsurance Layer

PPP_Model_Simulate

Simulate Losses with a PPP_Model

print.PGP_Model

Print a PGP_Model Object (Collective Panjer & Generalized Pareto Model...

print.PPP_Model

Print a PPP_Model Object (Collective Panjer & Piecewise Pareto Model) ...

qGenPareto

Quantile Function of the generalized Pareto Distribution

qPareto

Quantile Function of the Pareto Distribution

qPiecewisePareto

Quantile Function of the Piecewise Pareto Distribution

rGenPareto

Simulation of the generalized Pareto Distribution

rPareto

Simulation of the Pareto Distribution

rPiecewisePareto

Simulation of the Piecewise Pareto Distribution

Simulate_Losses.PGP_Model

Simulate Losses with a PGP_Model

Simulate_Losses.PPP_Model

Simulate Losses with a PPP_Model

Simulate_Losses

Simulate Losses with a Collective Model

Utilities for the Pareto, piecewise Pareto and generalized Pareto distribution that are useful for reinsurance pricing. In particular, the package provides a non-trivial algorithm that can be used to match the expected losses of a tower of reinsurance layers with a layer-independent collective risk model. The theoretical background of the matching algorithm and most other methods are described in Ulrich Riegel (2018) <doi:10.1007/s13385-018-0177-3>.